High‐dimensional sparse multivariate stochastic volatility models

DOI10.1111/JTSA.12647MaRDI QIDQ6135331zbMATH OpenOpenAlexFDO

Authors Benjamin Poignard, Manabu Asai

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.08584

zbMATH Keywords

forecastingmultivariate stochastic volatilitypenalized M-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes (62Mxx)

Abstract: Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typically suffer from the curse of dimensionality. We propose a fast and efficient estimation approach for MSV based on a penalized OLS framework. Specifying the MSV model as a multivariate state space model, we carry out a two-step penalized procedure. We provide the asymptotic properties of the two-step estimator and the oracle property of the first-step estimator when the number of parameters diverges. The performances of our method are illustrated through simulations and financial data.

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Cited in

(4)

• Analysis of high dimensional multivariate stochastic volatility models
• Modelling NASDAQ series by sparse multifractional Brownian motion
• An extended sparse max-linear moving model with application to high-frequency financial data
• Sparse vector heterogeneous autoregressive modeling for realized volatility

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